"Mexico is doing NOTHING to stop the Caravan which is now fully formed and heading to the United States," Trump tweeted.
The caravan reportedly began arriving at the Mexican border with Guatemala on Friday. Fox News said around a 1,000 marched through the border gates after they were left open.
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Trump has repeatedly slammed Mexico for ignoring big crowds that have been trekking north to start a new life in the United States, warning there were criminals mixed in.
"We stopped the last two — many are still in Mexico but can’t get through our Wall, but it takes a lot of Border Agents if there is no Wall. Not easy!" the president stressed.
The warning comes amid a funding dispute that has resulted in the longest shutdown of the federal government in US history. The dispute stems from Trumps demand for $5.7 billion to pay for a border wall – and Democrats refusal to meet the request.